Detecting volatility persistence in GARCH models in the presence of the leverage effect
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Publication:5247941
DOI10.1080/14697688.2012.716162zbMath1402.62256OpenAlexW2065695824MaRDI QIDQ5247941
A. B. M. Rabiul Alam Beg, Sajid Anwar
Publication date: 27 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.716162
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites Work
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